Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0986 |
| Annualized Std Dev | 0.2808 |
| Annualized Sharpe (Rf=0%) | -0.3513 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3561.0000 |
| NAs | 1.0000 |
| Minimum | -0.1626 |
| Quartile 1 | -0.0056 |
| Median | 0.0011 |
| Arithmetic Mean | -0.0003 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0060 |
| Maximum | 0.3281 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0008 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0003 |
| Stdev | 0.0177 |
| Skewness | 1.1492 |
| Kurtosis | 50.7017 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0127 |
| Gain Deviation | 0.0142 |
| Loss Deviation | 0.0158 |
| Downside Deviation (MAR=210%) | 0.0170 |
| Downside Deviation (Rf=0%) | 0.0128 |
| Downside Deviation (0%) | 0.0128 |
| Maximum Drawdown | 0.8810 |
| Historical VaR (95%) | -0.0224 |
| Historical ES (95%) | -0.0439 |
| Modified VaR (95%) | -0.0050 |
| Modified ES (95%) | -0.0050 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-04-19 | 2020-03-18 | NA | -0.8810 | 3506 | 3252 | NA |
| 2007-02-05 | 2007-03-05 | 2007-04-02 | -0.0426 | 40 | 20 | 20 |
| 2007-04-10 | 2007-04-11 | 2007-04-12 | -0.0061 | 3 | 2 | 1 |
| 2007-04-17 | 2007-04-17 | 2007-04-18 | -0.0028 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 0.8 | -1.1 | 0.3 | 0.6 | 1.2 | 0.5 | -0.6 | 0.8 | 1 | -1.7 | 2.1 | 2 | 5.9 |
| 2008 | 1 | -1 | 1.9 | 0.9 | -1.2 | -1.2 | -0.4 | -1.1 | 1.3 | 2.5 | -3.7 | 5.8 | 4.6 |
| 2009 | -0.9 | -1.6 | 3.8 | 2.1 | 2.3 | 1 | 0.5 | -1.1 | -2.3 | -3.7 | 1.7 | -0.9 | 0.7 |
| 2010 | 2.7 | 1.1 | 0.3 | -1 | -2.6 | 4 | 0 | 2 | 1.1 | 0.7 | 1.6 | -0.3 | 9.9 |
| 2011 | 1.5 | -1 | 0.3 | 0.3 | -0.8 | 1.2 | 3 | -1.7 | -3.2 | -2 | 0.7 | 0.5 | -1.5 |
| 2012 | 1.5 | 0.4 | 0 | 0.9 | -1.9 | 1 | -0.2 | 1.2 | 0.7 | 1.2 | 0.2 | 0.5 | 5.5 |
| 2013 | 1 | 0 | -0.7 | -0.2 | -1.7 | 0.5 | 1.2 | 0.5 | 0.5 | 0.2 | 0.7 | 0 | 2.1 |
| 2014 | -1 | 0.8 | 0.5 | 0.5 | 0.6 | 1.1 | -0.6 | 0.1 | -0.6 | 1.3 | -1 | -2 | -0.3 |
| 2015 | -1.5 | 0.2 | -0.3 | 0.7 | 0.4 | 0.7 | 0.1 | -2.5 | 1.1 | 0.8 | 1.1 | -0.5 | 0.2 |
| 2016 | 0.1 | 2.2 | 0.1 | 0 | 0.5 | 1 | -0.3 | -0.4 | 0.3 | -0.8 | -0.4 | 0.5 | 2.9 |
| 2017 | 0.3 | 1 | -0.1 | -0.9 | 0.7 | 0 | -0.1 | 1.2 | 0.3 | 1 | 0 | 0.2 | 3.5 |
| 2018 | 0.2 | -1 | 1.2 | -0.4 | 0.9 | 0.2 | -0.1 | -0.1 | 0.5 | 1.4 | 0.1 | 0.3 | 3.2 |
| 2019 | 0.5 | 0.2 | 0.8 | 0.2 | -1.3 | 0.1 | -1 | 0 | -0.8 | 1.1 | -0.5 | 0.7 | 0.1 |
| 2020 | -2 | -4.3 | -4.7 | -2.2 | 0.8 | 0.3 | -0.5 | 0.1 | -0.6 | -1.9 | 1.6 | -0.6 | -13.3 |
| 2021 | 1.1 | 2.3 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-01-26 41 SPY 142. -0.0007 -0.0046 0.01 0.031 0.122 0.227 0.252 GLD 64.1 6.00e-4 0.0175
2 2007-01-29 41.2 SPY 142. -0.0008 -0.0023 0.0033 0.0267 0.115 0.239 0.251 GLD 63.8 -5.10e-3 0.0167
3 2007-01-30 41.4 SPY 143. 0.0052 -0.0001 0.002 0.0289 0.111 0.260 0.254 GLD 64.2 7.10e-3 -0.0002
4 2007-01-31 41.5 SPY 144. 0.0067 -0.0014 0.0108 0.0423 0.119 0.267 0.304 GLD 64.8 9.50e-3 0.0078
5 2007-02-01 41.8 SPY 145. 0.006 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 6.00e-3 0.0181
6 2007-02-02 41.8 SPY 145. 0.0014 0.0186 0.0243 0.0509 0.128 0.271 0.280 GLD 64.3 -1.44e-2 0.0028
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
